Trading Thalesians Book Talk/Portfolio & Risk Analytics in Python with pyfolio

In addition to Saeed Amen's talk, we will now be featuring Dr. Thomas Wiecki and his talk on Portfolio & Risk Analytics in Python with pyfolio at next Monday's meetup.

Agenda:

4:30-4:45: Welcome, network, & pizza

4:45-5:45: Saeed Amen will present.

5:45-6:00: Q&A

6:00-7:00: Thomas Wiecki will present

7:00: Q&A - Wrap Up

Trading Thalesians Book Talk

What can the ancient world teach us about modern money markets? How can we use examples from the ancient world, philosophers and writers to better understand the markets? Just as historians such as Herodotus living in ancient Greece examined the past, can traders look to their past to learn something new?

In his exciting new book, Saeed Amen looks to the ancient world to help us better understand modern money markets, demonstrating what ancient philosophers can teach us about trading markets today, and showing readers how to maximize their returns.

PyThalesians Python financial analysis library

In the last part of the talk, Saeed will be doing an interactive demo of his new open source PyThalesians Python financial analysis library ( https://github.com/thalesians/pythalesians ), showing some fun patterns in FX intraday volatility, price action around data events and a simple FX trend following trading strategy.

Portfolio & Risk Analytics in Python with pyfolio

By Dr. Thomas Wiecki, Data Science Lead at Quantopian

Python is quickly establishing itself as the lingua franca for quantitative finance. The rich stack of open source tools like Pandas, the Jupyter notebook, and Seaborn, provide quants with a rich and powerful tool belt to analyze financial data. While useful for Quantitative Finance, these general purpose libraries lack support for common financial analyses like the computation of certain risk factors (Sharpe, Fama-French), or plots of portfolio allocations over time.

Pyfolio (http://quantopian.github.io/pyfolio/) is a recent open source tool developed by Quantopian (https://www.quantopian.com/) to fill this gap. At the core of pyfolio is a so-called tear sheet that consists of various individual plots that provide a comprehensive image of the performance of a trading algorithm/portfolio. In addition, the library features advanced statistical analyses using Bayesian modeling. The software can be used stand-alone, with our open-source backtesting library Zipline and is available on the Quantopian platform.

This talk will be a tutorial of how to get the most out of this library ( http://quantopian.github.io/pyfolio/ ).

Pizza and drinks will be served.

Speakers Details:

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Saeed Amen is managing director and co-founder of the Thalesians and Argonautae Ltd. He has a decade of experience creating and successfully running systematic trading models at Lehman Brothers and Nomura. Independently, he runs a systematic trading model with proprietary capital. He is the author of Trading Thalesians – What the ancient world can teach us about trading today (Palgrave Macmillan). He graduated with a first class honours master’s degree from Imperial College in Mathematics & Computer Science.

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Thomas Wiecki is the data science lead at Quantopian Inc (https://www.quantopian.com/). where he uses probabilistic programming to help build a crowd-sourced hedge fund. He holds a Ph.D. from Brown University. As a recognized international speaker, Thomas has given talks at various conferences and meet-ups across the US (including New York, Boston, Chicago, and San Francisco), Europe (London, Berlin, Luxembourg, and Düsseldorf), as well as Asia (Singapore). Among other open source projects, he is involved in the development of PyMC — a probabilistic programming framework written in Python